Frequency domain estimation of temporally aggregated Gaussian cointegrated systems

DOI10.1016/J.JECONOM.2006.03.005zbMATH Open1418.62307OpenAlexW2041101571MaRDI QIDQ278231FDOQ278231

Authors: Marcus J. Chambers, J. Roderick McCrorie 

Publication date: 2 May 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2006.03.005

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zbMATH Keywords

cointegrationGaussian estimationcontinuous timefrequency domaintemporal aggregation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and spectral analysis (62M15)

Cites Work

• Some Limit Theorems for Stationary Processes
• Asymptotic Properties of Non-Linear Least Squares Estimators
• Multiple Time Series Regression with Integrated Processes
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• Error Correction and Long-Run Equilibrium in Continuous Time
• Narrow-band analysis of nonstationary processes
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• A central limit theorem for parameter estimation in stationary vector time series and its application to models for a signal observed with noise
• Discrete time representation of stationary and non-stationary continuous time systems
• The estimation of systems of joint differential-difference equations
• The problem of aliasing in identifying finite parameter continuous time stochastic models
• The problem of identification in finite parameter continuous time models
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• Granger causality and the sampling of economic processes
• The Dimensionality of the Aliasing Problem in Models With Rational Spectral Densities
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• THE ASYMPTOTIC EFFICIENCY OF COINTEGRATION ESTIMATORS UNDER TEMPORAL AGGREGATION
• TEMPORAL AGGREGATION AND THE FINITE SAMPLE PERFORMANCE OF SPECTRAL REGRESSION ESTIMATORS IN COINTEGRATED SYSTEMS A Simulation Study
• LONG-RUN STRUCTURAL MODELLING
• Non-linear regression for multiple time-series
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Cited In (16)

• Cointegrated continuous-time linear state-space and MCARMA models
• On model selection criteria for climate change impact studies
• Robust estimation of stationary continuous-time ARMA models via indirect inference
• Quasi-maximum likelihood estimation for cointegrated continuous-time linear state space models observed at low frequencies
• ESTIMATING CONTINUOUS-TIME MODELS ON THE BASIS OF DISCRETE DATA VIA AN EXACT DISCRETE ANALOG
• Conditionally Efficient Estimation of Long-Run Relationships Using Mixed-Frequency Time Series
• The estimation of continuous time models with mixed frequency data
• Discrete time representation of stationary and non-stationary continuous time systems
• Estimation of continuous and discrete time co-integrated systems with stock and flow variables
• Mixed first- and second-order cointegrated continuous time models with mixed stock and flow data
• REX BERGSTROM’S CONTRIBUTIONS TO CONTINUOUS TIME MACROECONOMETRIC MODELING
• Frequency domain estimation of continuous time cointegrated models with mixed frequency and mixed sample data
• Identification and inference for multivariate cointegrated and ergodic Gaussian diffusions
• Cointegration and sampling frequency
• DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA
• Testing for seasonal unit roots by frequency domain regression

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